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pac: declare endogenous variables needed by pac model consistent expectation before the creation of auxiliary variables

issue#70
Houtan Bastani 2019-02-25 15:29:46 +01:00
parent 36b2ae5026
commit 64f55e4a5e
No known key found for this signature in database
GPG Key ID: 000094FB955BE169
3 changed files with 47 additions and 8 deletions
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46
src/DynamicModel.cc
View File

@ -4496,6 +4496,41 @@ DynamicModel::getPacTargetSymbId(const string &pac_model_name) const
return -1;
}
void
DynamicModel::declarePacModelConsistentExpectationEndogs(const string &name)
{
int i = 0;
for (auto & equation : equations)
if (equation->containsPacExpectation())
{
string eqtag = "";
for (auto & tag : equation_tags)
if (tag.first == (&equation - &equations[0]))
if (tag.second.first == "name")
{
eqtag = tag.second.second;
break;
}
if (eqtag == "")
{
cerr << "Every equation with a pac expectation must have been assigned an equation tag name" << endl;
exit(EXIT_FAILURE);
}
string standard_eqtag = "eq" + to_string(i++);
try
{
pac_mce_z1_symb_ids[{name, standard_eqtag}] =
symbol_table.addSymbol("mce_Z1_" + name + "_" + standard_eqtag, SymbolType::endogenous);
}
catch (SymbolTable::AlreadyDeclaredException &e)
{
cerr << "Variable name needed by PAC (mce_Z1_" << name << "_" << standard_eqtag << endl;
exit(EXIT_FAILURE);
}
}
}
void
DynamicModel::addPacModelConsistentExpectationEquation(const string & name, int discount_symb_id,
const map<pair<string, string>, pair<string, int>> &eqtag_and_lag,
@ -4510,16 +4545,12 @@ DynamicModel::addPacModelConsistentExpectationEquation(const string & name, int
string standard_eqtag = it.second.first;
int pac_max_lag_m = it.second.second + 1;
string append_to_name = name + "_" + standard_eqtag;
int mce_z1_symb_id;
try
if (pac_mce_z1_symb_ids.find({name, standard_eqtag}) == pac_mce_z1_symb_ids.end())
{
mce_z1_symb_id = symbol_table.addSymbol("mce_Z1_" + append_to_name, SymbolType::endogenous);
}
catch (SymbolTable::AlreadyDeclaredException &e)
{
cerr << "Variable name needed by PAC (mce_Z1_" << append_to_name << endl;
cerr << "Error finding pac MCE Z1 symb id" << endl;
exit(EXIT_FAILURE);
}
int mce_z1_symb_id = pac_mce_z1_symb_ids[{name, standard_eqtag}];
expr_t A = One;
expr_t fp = Zero;
@ -4597,7 +4628,6 @@ DynamicModel::addPacModelConsistentExpectationEquation(const string & name, int
addEquation(AddEqual(AddVariable(mce_z1_symb_id),
AddMinus(AddTimes(A, AddMinus((expr_t) target_base_diff_node, fs)), fp)), -1);
neqs++;
pac_mce_z1_symb_ids[{name, standard_eqtag}] = mce_z1_symb_id;
pac_expectation_substitution[{name, eqtag}] = AddVariable(mce_z1_symb_id);
}
cout << "Pac Model Consistent Expectation: added " << neqs << " auxiliary variables and equations." << endl;

3
src/DynamicModel.hh
View File

@ -455,6 +455,9 @@ public:
//! Return target of the pac equation
int getPacTargetSymbId(const string &pac_model_name) const;
//! Declare Z1 variables before creating aux vars so it comes right after the endo names declared by the user
void declarePacModelConsistentExpectationEndogs(const string &name);
//! Add model consistent expectation equation for pac model
void addPacModelConsistentExpectationEquation(const string & name, int discount,
const map<pair<string, string>, pair<string, int>> &eqtag_and_lag,

6
src/ModFile.cc
View File

@ -367,6 +367,12 @@ ModFile::transformPass(bool nostrict, bool stochastic, bool compute_xrefs, const
// Save the original model (must be done before any model transformations by preprocessor)
// - except adl and diff which we always want expanded
dynamic_model.simplifyEquations();
for (auto & statement : statements)
{
auto pms = dynamic_cast<PacModelStatement *>(statement.get());
if (pms != nullptr && pms->aux_model_name == "")
dynamic_model.declarePacModelConsistentExpectationEndogs(pms->name);
}
dynamic_model.substituteAdl();
dynamic_model.setLeadsLagsOrig();
original_model = dynamic_model;